In Chapter 5 right after getting crowned, the project to upgrade your capital to city will unlock, and once the upgrade will be complete you can gain access to the well located in the market area. Go inside and look around, you will find a letter, a diary, and a key, resulting in the acquisition of the errand called “Magical Prison”. You cannot complete the quest immediately, as you will need access to Pitax and the Thousand Voices (Ilthuliak, the dragon, being an enemy not previously accessible). While there's time, explore. Bring in your travels a character with high perception to discover new places and explore them, the creatures you need are usually named bosses, like the Crag Linnorm. If you already happened to visit the Lonely Barrow, you might have noticed that you need a key (you already got it) and 6 lighted up torches to prove you killed as many powerful creatures: each time you take one down, a torch will light up. As long as you keep exploring, you won't have any troubles taking them all down. Once you got them all, travel back to the Lonely Barrow and prepare for a fight against a powerful lich with a quite familiar name.
Credit to Starsong for their
guide.